Viktor Todorov Contact Finance Department E-mail: [email protected] Information Kellogg School of Management Tel: (847) 467 0694 Northwestern University Fax: (847) 491 5719 Evanston, IL 60208-2001 Education Duke University, Durham, North Carolina, USA Ph.D. in Economics, May 2007 • PhD Thesis: \Jump Processes in Finance: Modeling, Simulation, Inference and Pricing" • Advisors: George Tauchen (chair), Tim Bollerslev, Ron Gallant, Han Hong Central European University, Budapest, Hungary M.A. in Economics, June 2002 Varna University of Economics, Varna, Bulgaria B.A. in Finance, June 1999 Research Asset Pricing, Derivatives, Theoretical and Applied Econometrics, Applied Probability Interests Academic Harold H. Hines Jr. Professor of Risk Management and Professor of Finance, Appointments Kellogg School of Management, Northwestern University, 2016 - present Professor of Finance, Kellogg School of Management, Northwestern University, 2015 - 2016 Associate Professor of Finance, Kellogg School of Management, Northwestern University, 2011 - 2015 Assistant Professor of Finance , Kellogg School of Management, Northwestern University, 2007 - 2011 Publications Andersen, T. G., N. Fusari, V. Todorov and R. Varneskov, \Spatial Dependence in Option Obser- vation Errors", accepted for publication in Econometric Theory. Andersen, T. G., V. Todorov and M. Ubukata, \Tail Risk and Return Predictability for the Japanese Equity Market", accepted for publication in Journal of Econometrics. Andersen, T. G., N. Fusari and V. Todorov, \The Pricing of Tail Risk and the Equity Premium: Evidence from International Option Markets", accepted for publication in Journal of Business and Economic Statistics. Todorov, V., \Nonparametric Spot Volatility from Options", Annals of Applied Probability, 2019, 29, pp 3590-3636. Andersen, T.G., M. Thyrsgaard and V.Todorov, \Time-Varying Periodicity in Intraday Volatility", Journal of the American Statistical Association, 2019, 114, pp 1695-1707. Andersen, T. G., N. Fusari, V. Todorov and R. Varneskov, \Inference for Option Panels in Pure- Jump Settings", Econometric Theory, 2019, 39, pp 901-942. Andersen, T. G., N. Fusari, V. Todorov and R. Varneskov, “Unified Inference for Nonlinear Factor Models from Panels with Fixed and Large Time Span", Journal of Econometrics, 2019, 212, pp 4-25. Li, J., V. Todorov, G. Tauchen and H. Lin, \Rank Tests at Jump Events", Journal of Business and Economic Statistics, 2019, 37, pp 312-321. Li, J., V. Todorov and G. Tauchen, \Jump Factor Models in Large Cross-Sections", Quantitative Economics, 2019, 10, pp 419-456. Qin, L. and V. Todorov, \Nonparametric Implied Levy Densities", Annals of Statistics, 2019, 47, pp 1025-1060. Todorov, V., \Nonparametric Inference for the Spectral Measure of A Bivariate Pure-Jump Semi- martingale", Stochastic Processes and their Applications, 2019, 129, pp 419-451. Jacod, J. and V. Todorov, \Limit Theorems for Integrated Local Empirical Characteristic Exponents from Noisy High-Frequency Data with Application to Volatility and Jump Activity Estimation", Annals of Applied Probability, 2018, 28, pp 511-576. Li, J., V. Todorov, G. Tauchen and R. Chen, \Mixed-scale Jump Regressions with Bootstrap Infer- ence", Journal of Econometrics, 2017, 201, pp 417-432. Li, J., V. Todorov and G. Tauchen, \Adaptive Estimation of Continuous-Time Regression Models using High-Frequency Data", Journal of Econometrics, 2017, 200 pp 36-47. Todorov, V., \Testing for Time-Varying Jump Activity for Pure Jump Semimartingales", Annals of Statistics, 2017, 45, pp 1284-1311. Andersen, T. G., N. Fusari and V. Todorov, \The Pricing of Short-Term Market Risk: Evidence from Weekly Options", Journal of Finance, 2017, 72, pp 1335-1386. Li, J., V. Todorov and G. Tauchen, \Robust Jump Regressions", Journal of the American Statistical Association, 2017, 112, pp 332-341. Li, J., V. Todorov and G. Tauchen, \Jump Regressions", Econometrica, 2017, 85, pp 173-195. Li, J., V. Todorov and G. Tauchen, \Estimating the Volatility Occupation Time via Regularized Laplace Inversion", Econometric Theory, 2016, 32, pp 1253-1288. Li, J., V. Todorov and G. Tauchen, \Inference Theory for Volatility Functional Dependencies", Journal of Econometrics, 2016, 193, pp 17-34. Bollerslev, T., S. Zhengzi Li and V. Todorov, \Roughing up Beta: Continuous vs. Discontinuous Betas, and the Cross-Section of Expected Stock Returns", Journal of Financial Economics, 2016, 120, pp 464-490. Jacod, J. and V. Todorov, “Efficient Estimation of Integrated Volatility in Presence of Infinite Variation Jumps with Multiple Activity Indices", The fascination of Probability, Statistics and Their Applications { In honour of Ole E. Barndorff-Nielsen on his 80th birthday, 2015, Springer-Verlag. Bollerslev, T., V. Todorov and L. Xu, \Tail Risk Premia and Return Predictability", Journal of Financial Economics, 2015, 118, pp 113-134. Andersen, T. G., N. Fusari and V. Todorov, \The Risk Premia Embedded in Index Options", Journal of Financial Economics, 2015, 117, pp 558-584. Todorov, V., \Jump Activity Estimation for Pure-Jump Ito Semimartingales via Self-Normalised Statistics", Annals of Statistics, 2015, 43, pp 1831-1864. Andersen, T. G., O. Bondarenko, V. Todorov and G. Tauchen, \The Fine Structure of Equity-Index Option Dynamics", Journal of Econometrics, 2015, 187, pp 532-546. Andersen, T. G., N. Fusari and V. Todorov, \Parametric Inference and Dynamic State Recovery from Option Panels", Econometrica, 2015, 83, pp 1081-1145. Reiß, M., V. Todorov and G. Tauchen, \Nonparametric Test for a Constant Beta between Ito Semimartingales based on High Frequency Data", Stochastic Processes and their Applications, 2015, 125, pp 2955-2988. Bollerslev, T. and V. Todorov, \Time-Varying Jump Tails", Journal of Econometrics, 2014, 183, pp 168-180. Todorov, V. and G. Tauchen, \Limit Theorems for the Empirical Distribution Function of Scaled Increments of Ito Semimartingales at High Frequencies", Annals of Applied Probability, 2014, 24, pp 1850-1888. Jacod, J. and V. Todorov, “”Efficient Estimation of Integrated Volatility in Presence of Infinite Variation Jumps", Annals of Statistics, 2014, 42, pp 1029{1069. Todorov, V., G. Tauchen and I. Grynkiv, \Volatility Activity: Specification and Estimation", Jour- nal of Econometrics, 2014, 178, pp 180-193. Li, J., V. Todorov and G. Tauchen, \Volatility Occupation Times", Annals of Statistics, 2013, 41, pp 1865-1891. Todorov, V., \Realized Power Variation from Second Order Differences for Pure Jump Semimartin- gales", Stochastic Processes and their Applications, 2013, 123, pp 2829-2850. Bollerslev, T., V. Todorov and S. Zhengzi Li, \Jump Tails, Extreme Dependencies and the Distri- bution of Stock Returns", Journal of Econometrics, 2013, 172, pp 307-324. Diop, A., J. Jacod and V. Todorov, \Central Limit Theorems for Approximate Quadratic Variations of Pure Jump Ito Semimartingales", Stochastic Processes and their Applications, 2013, 123, pp 839- 886. Todorov, V. and G. Tauchen, \Inverse Realized Laplace Transforms for Nonparametric Volatility Density Estimation in Jump-Diffusions”, Journal of the American Statistical Association, 2012, 107, pp 622-635. Todorov, V. and G. Tauchen, \Realized Laplace Transforms for Pure-Jump Semimartingales", An- nals of Statistics, 2012, 40, pp 1233-1262. Todorov, V. and G. Tauchen, \The Realized Laplace Transform of Volatility", Econometrica, 2012, 80, pp 1105-1127. Bollerslev, T. and V. Todorov, \Estimation of Jump Tails", Econometrica, 2011, 79, pp 1727-1783. Bollerslev, T. and V. Todorov, \Tails, Fears and Risk Premia", Journal of Finance, 2011, 66, pp 2165-2211. Todorov, V., G. Tauchen and I. Grynkiv, \Realized Laplace Transforms for Estimation of Jump Diffusive Volatility Models", Journal of Econometrics, 2011, 164, pp 367-381. Todorov, V. and G. Tauchen, \Volatility Jumps", Journal of Business and Economic Statistics, 2011, 29(3), pp 356-371. Todorov, V. and G. Tauchen, \Limit Theorems for Power Variations of Pure-Jump Processes with Application to Activity Estimation", Annals of Applied Probability, 2011, 21(2), pp 546-588. Todorov, V., \Econometric Analysis of Jump-Driven Stochastic Volatility Models", Journal of Econometrics, 2011, 160, pp 12-21. Andersen, T. and V. Todorov, \Realized Volatility and Multipower Variation", Encyclopedia of Quantitative Finance, 2010, Ole Barndorff-Nielsen and Eric Renault (eds). Jacod, J. and V. Todorov, \Do Price and Volatility Jump Together?", Annals of Applied Probability, 2010, 20(4), pp 1425-1469. Todorov, V. and T. Bollerslev, \Jumps and Betas: A New Theoretical Framework for Disentangling and Estimating Systematic Risks", Journal of Econometrics, 2010, 157, pp 220-235. Todorov, V., \Variance Risk Premium Dynamics: The Role of Jumps", The Review of Financial Studies, 2010, 23(1), pp 345-383. Todorov, V. and G. Tauchen, \Activity Signature Functions for High-Frequency Data Analysis", Journal of Econometrics, 2010, 154, pp 125-138. Jacod, J. and V. Todorov, \ Testing for Common Arrivals of Jumps for Discretely Observed Multi- dimensional Processes", Annals of Statistics, 2009, 37, pp 1792-1838. Todorov, V., \Estimation of Continuous-Time Stochastic Volatility Models with Jumps using High- Frequency Data", Journal of Econometrics, 2009, 148, pp 131-148. Todorov, V. and G.Tauchen, \Simulation Methods for Levy-Driven CARMA Stochastic Volatility Models", Journal of Business and Economic Statistics, 2006, 24(4), pp 455-469. Working Papers Andersen, T.G., Y. Li, V. Todorov and B. Zhou, \Volatility Measurement with Pockets of Extreme Return Persistence",